I am stupid when it comes to home audio and anything to do with something not related to car audio. What does this do? Convert coax to rca? How does that work?
All good interconnects (cables with RCA plugs on the ends) are made with coax. If you cut one, it will look just like your CATV coax.
The adaptor you linked to allows someone to install a "F" connector (used by CATV and Sat systems) and put a female RCA jack on the end. You can also find similar adaptors that give you a Male RCA jack on the end. This can be used to create a long subwoofer cable from CATV coax.
The only advantage to one of these adaptors is there is lots of pre-terminated CATV coax cables out there so it only requires a pair of pliers to create a RCA cable.
It does convert the coaxial F connector to an RCA connector; however, it does not convert the signal so you will still have the same signal you did before.